You should check the sticky at the top of the forum, it has Milkshapes export settings, which are luckily very similar to CharacterFX's setup - CFX is actually designed as a partner for Milkshape.
You could email me the .CFX file and textures and I'll test it out on my version. If I get it working I'll let you know what settings I used - but as far as I remember, all I have to change is that damn geometry scale to 1.0 instead of 0.1 - the default settings might be ok. I've had no problems, although I'm only on DBP 5.5, might be something to do with DBP 5.6beta if you've installed that. It sounds to me like it could be a 'delete and re-rig' job, maybe the files been corrupted, I mean - does it animate as expected in CFX?.
Van-B

Muhahahahaha.